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Random matrix theory

References

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References

 

Edelman, A. and Rao, N.R. (2005). Random matrix theory. Acta Numerica 14, pp. 233-297

 

Laloux, L., Cizeau, P., Bouchard, J-P. and Potters, M. (1999). Random matrix theory. Risk, March 1999

 

Scherer, B. (2007). Portfolio Construction and Risk Budgeting. 3rd ed. RiskBooks

 


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